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Optimal asset allocation and capital adequacy management strategies for Basel III compliant banks
(University of the Western Cape, 2015)
In this thesis we study a range of related commercial banking problems in discrete and continuous time settings. The first problem is about a capital allocation strategy that optimizes the expected future value of a commercial ...
Discrete and continuous time methods of optimization in pension fund management
(2010)
Pensions are essentially the only source of income for many retired workers. It is thus critical that the pension fund manager chooses the right type of plan for his/her workers.Every pension scheme follows its own set of ...